Duke Funding CDO Notes Downgraded

Five classes of notes (and their series 2 counterparts) issued by Duke Funding High Grade II-S/EGAM I Ltd., a collateralized debt obligation used to acquire mortgage-backed securities, have been downgraded by Fitch Ratings.The downgraded notes were as follows: class A2 and series 2 class A2, from AAA to BBB-minus; class B1 and series 2 class B1, from AA-plus to BB; class B2 and series 2 class B2, from AA-minus to BB-minus; class C and series 2 class C, from BB to B; and class D and series 2 class D, from B to CCC. All the classes remain on Rating Watch Negative. The downgrades were attributed to continued concerns about the availability of repo funding with terms similar to those now in place. Fitch said the proceeds of the notes are used to buy a diversified portfolio of triple-A rated, primarily private-label residential MBS. The rating agency can be found online at http://www.fitchratings.com.